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Credit rating modelled with reflected stochastic differential equations

Sonubi, Adeyemi Adewale - In: Journal of mathematical finance 4 (2014) 5, pp. 333-337

Persistent link: https://www.econbiz.de/10011312408

Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains

Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011

Persistent link: https://www.econbiz.de/10008991278

Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates

Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33

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Dynamic risk model for CMO with credit tranching

Parnes, Dror - In: International journal of financial engineering 2 (2015) 4, pp. 1-15

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Modellierung der Zeitstruktur von Ratingmigrationen : ein intensitätsbasierter Ansatz zu zeitdiskreten Ratingbeobachtungen

Vogl, Konstantin - 2008

Persistent link: https://www.econbiz.de/10003724759

Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005

In our paper, we analyze, based on a new rating methodology, 105 enterprises from Saxony with respect to their ability to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk and a stochastic simulation model of enterprise...